: MTM and Margin Requirement Report (Summary Version)

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Report Description

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MTM and Margin Requirement Report (Summary Version)

Report ID : RMAMR03

Report Name : MTM and Margin Requirement Report (Summary Version)

Purpose : This report is a summary version of the MTM and Margin Requirement Report (RMAMR01), carrying MTM and margin requirement calculated in HKD, for Hong Kong market only. For calculation details, please refer to the detail report RMAMR01 and the Initial Margin Calculation Guide.

For General Clearing Participant (GCP), the projected MTM and initial margin of its house account (H1) and each of its underlying Non-Clearing Participant (NCP) (nnnnn+) will be shown in end of day report. Please refer to the description for RMAMR01 for details. GCP can also refer to the reports generated after intra-day (or holiintra-day) margin process, i.e. 11:30 a.m. (or 2:30 p.m.) for the projected MTM and initial margin of each of its underlying NCPs.

Time Available : Four set of reports will be generated on each business day

1) at around 11:30 a.m. after the intra-day margin calculation process at around 11:00 a.m.

2) at around 2:30 p.m. after the holiday margin calculation process at around 2:00 p.m., if applicable.

3) at around 5:15 p.m. after the intra-day margin estimation process at around 4:45 p.m.

4) at around 9:00 p.m. after the end of day margin calculation process at around 8:30 p.m.

**** During Familiarisation Programme, only reports generated for 3) margin estimation and 4) end of day margin will be available for retrieval via RAP at around 9:00 p.m. *****

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Report Data File Layout

Two zip files, i.e. a control file and a data file, will be generated for RMAMR03 and available in RAP for retrieval. After unzip, the files are in CSV format with comma (,) as separator. Alphanumeric values are not enclosed by double quotation mark (“) unless they contain comma (,), the separator. (A) Control file:

File Name : RMAMR03_<CCASS Part_ID>_yyyymmddhhmmss.CNTL.ZIP (compressed format)

Content : Two control records

Field Description:

# Data item Data size Remarks

Control Record 1

(R1) Key X(2) 00 for Header record

(R2) File Date 9(8) File generation date formatted in “YYYYMMDD” (R3) Business Date 9(8) Date of the margin calculation formatted in

“YYYYMMDD”

(R4) Report ID X(7) RMAMR03

(R5) File Sequence Number

9(8) HKEX internal file sequence number formatted as ‘nnnnnnnn’. e.g. 00000004. For HKEX internal use only

Control Record 2

(R6) Key X(2) 09 for Trailer record

(R7) Record Count 9(15) Number of records in the data file, including header, formatted as ‘nnnnnnnnnnnnnnn’

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(B) Data File:

File Name : RMAMR03_<CCASS Part_ID>_yyyymmddhhmmss.CSV.ZIP (compressed format)

Content : Contain at least 2 records. The first record is the header record which provides the field names in the data file. The rest of the records provide details on the MTM and margin information for each of the participant account. For participant/account with no MTM and margin requirement, a dummy record with “0” values will be displayed. Field Description:

# Fields Data size Remarks

(R1) Batch 9(19) The batch ID of the margin calculation, for reference to the corresponding MTM and Margin Requirement Report (RMAMR01) and Marginable Position Report (RMAMP01)

(R2) IDM 9(1) ID to identify when the report is generated for “2” – end of day margin

“3” – intraday, holiday and estimated margin

(R3) Create Time X(17) File generation date and time formatted as “YYYYMMDD HH:MM:SS”

(R4) Business Date 9(8) Date of margin calculation formatted as “YYYYMMDD” (R5) Country 9(2) The two-digit ISO 3166-1 country code for countries and

their subdivisions HK – Hong Kong (R6) Product Area X(2) HK – Hong Kong

Blank if no marginable position

(R7) Market X(30) HKMK – Hong Kong Market

(R8) Market ID 9(3) 201 – HKMK

(R9) Exchange X(2) HK – Hong Kong

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# Fields Data size Remarks

(R11) Account X(10) Margin Account of the Participant

MA1 Main Account in which the MTM and margin requirement are captured for collateralization calculation in CCASS

Applicable to GCP, projected for information only: H1 House Account with GCP’s own MTM and

margin result

nnnnn+ NCP Account (e.g. 01234+) with each NCP’s MTM and margin result, where “nnnnn” is the Firm ID of the NCP

Blank if no marginable position (R12) Participant Name X(80) Name of the Participant

(R13) Currency X(3) HKD

(R14) MTM Requirement 9(20) Calculated loss from MTM calculation. Show “0” if not a loss

(R15) Portfolio Margin1 ₉₍₂₀₎ _{Portfolio Margin, after flooring, same as (R16) in}

RMAMR01

(R16) Flat Rate Margin2 ₉₍₂₀₎ _{Flat Rate Margin, after applying Flat Rate Margin}

Multiplier, same as (R19) in RMAMR01 (R17) Corporate Action

Position Margin3

9(20) Risk component related to potential risk exposures arising from Corporate Action entitlements (e.g. rights/open offer; distribution in specie and dividend), same as (R20) in RMAMR01

(R18) Margin Add-ons 9(20) Sum of various add-ons components:

Liquidation Risk Add-on + Structured Product Add-on + [Holiday Add-on (reserve for future use)] + Position Limit Add-on + Credit Risk Add-on + Ad-hoc Add-on Please refer to RMAMR01 for add-on details

(R19) Total Margin Adjustments

9(20) Adjustments consist effect from margin rounding, Favorable MTM and Margin Credit

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# Fields Data size Remarks (R20) Total MTM and

Margin Requirement

9(20) Total MTM and Margin Requirement, after margin adjustment (R19), to be collected, including the requirements to be collected through HKSCC and SEOCH (if opted by CP who is also an SEOCH Participant)

Applicable to GCP for information only:

For H1 and NCP (nnnnn+) accounts, the requirements are yet to incorporate add-ons requirements.

Please refer to the description of RMAMR01 for details, same as (R34) in RMAMR01

(R21) Default Fund Add-on

9(20) Risk component to mitigate excessive risk exposures of individual CP on Default Fund, same as (R37) in RMAMR01

If any, will be collected separately from Total MTM and Margin Requirement

Applicable to GCP for information only:

For H1 and NCP (nnnnn+) accounts, always shown as “0”

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Disclaimer:

1. The information contained in this document is for familiarisation purposes only and should not be used in any commercial context or form including reliance of such information for any purpose.

2. Nothing in this document constitutes an offer, solicitation, invitation or recommendation to buy or sell any securities, futures contracts or other products or to provide any investment advice or service of any kind. This document is not directed at, and is not intended for distribution to or use by, any person or entity in any jurisdiction or country where such distribution or use would be contrary to law or regulation or which would subject Hong Kong Exchanges and Clearing Limited, The Stock Exchange of Hong Kong Limited, Hong Kong Futures Exchange Limited, HKEx Information Services Limited (together, the “Entities”, each an “Entity”), or any of their affiliates or any of the companies that they operate, to any registration requirement within such jurisdiction or country. Nothing in this document may be regarded as creating any obligation on the part of any of the Entities.

3. Although the information contained in this document is obtained or compiled from sources believed to be reliable, none of the Entities guarantees the accuracy, validity, timeliness or completeness of the information or data for any particular purpose. None of the Entities and the companies that they operate shall accept any responsibility for, or be liable for, errors, omissions or other inaccuracies in the information or for the consequences thereof. The information set out in this document is provided on an “as is” and “as available” basis and may be amended or changed. It is not a substitute for professional advice which takes account of your specific circumstances and nothing in this document constitutes legal advice. None of the Entities shall be responsible or liable for any loss or damage, directly or indirectly, arising from the use of or reliance upon any information provided in this document.

4. It remains to be GCP’s responsibility and absolute discretion to determine and collect the marks and margin requirements for NCPs.

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Sample Control and Data Files (A) Sample files for DCP:

Control File for Data File: RMAMR03_B00001_20201217205602.CNTL

Data File: RMAMR03_B00001_20201217205602.CSV

- Excel view:

(B) Sample files for GCP:

Control File for Data File: RMAMR03_B00002_20201217205602.CNTL

Data File: RMAMR03_B00002_20201217205602.CSV